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iSTOXX® Factor Indexes

iSTOXX® Factor Indexes

For the first time European Factor Index Futures are listed on an exchange with Eurex' iSTOXX® Europe Factor Index Futures

The increasing trend towards passive investing has revolutionized the style of investment approaches the market now demands, creating a need for sophisticated and diversified index concepts using different selection and weighting methods. This trend has led to the development of iSTOXX® Europe Factors, systematic rules based indices that are designed to isolate the return of market factors and earn a risk premium over time.

Eurex now offers Smart Beta futures. With the introduction of the six futures on the iSTOXX® Europe Factor Indexes, innovative derivatives targeted at collecting premium from well documented risk factors (Value, Carry, Momentum, Size, Low Risk and Quality) are now available at Eurex.

The underlying indexes are distinguished by the individual factor premium, whereas the contract specifications are in line with the already existing successful Eurex Futures on STOXX® Indexes.

Watch the video to learn more about which advantages Eurex iSTOXX Europe Factor Index Futures provide to trade, listed on an exchange for the first time, as well as how the products exposure to the broad market plus a factor tilt.

The increasing and more efficient capture of risk sources in the market has allowed investors to exploit these factors to obtain additional returns. Factor investing has seen a veritable surge in interest in recent years, and the possibilities of extracting, adapting and combining factor-based returns keep growing. STOXX’s head of applied research, Dr. Jan-Carl Plagge discusses how a factor-based strategy via futures opens a new door to uncorrelated risk premia.

The new futures are based on the iSTOXX® Europe Factor index family developed by STOXX® in collaboration with Alpha Centauri and offer investors a unique and innovative way to target and capture premia. It consists of six single factors that aim to capture well-known risk premia: Momentum, Quality, Size, Carry, Value and Low-risk. All indexes are constructed to maximize the exposure to their particular factor and minimize unwanted risks. FIS APT risk model is used to measure and restrict risk in these indexes.

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